Abstract

http://ssrn.com/abstract=236982
 
 

References (38)



 
 

Citations (31)



 


 



A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability


William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Roger G. Ibbotson


Yale School of Management; Zebra Capital Management, LLC

Liang Peng


University of Colorado at Boulder

July 14, 2000

Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13

Abstract:     
In this paper, we collect individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. We use monthly price and dividend information on more than 600 individual securities over the period to estimate a stock price index and total return series that extends virtually to the beginning of the New York Stock Exchange. We use this data to estimate the power of past returns and dividend yields to forecast future long-horizon returns. We find some evidence of predictabiity in sub-periods but little predictability over the long term. We estimate the time-varying volatility of the U.S. market over the period 1815 to 1925 and find evidence of a leverage effect on risk. This new database will allow future researchers to test a broad range of hypotheses about the U.S. capital markets in a rich, untouched sample.

Number of Pages in PDF File: 45

JEL Classification: G1, N2

working papers series


Download This Paper

Date posted: August 14, 2000  

Suggested Citation

Goetzmann, William N. and Ibbotson, Roger G. and Peng , Liang, A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability (July 14, 2000). Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13. Available at SSRN: http://ssrn.com/abstract=236982 or http://dx.doi.org/10.2139/ssrn.236982

Contact Information

William N. Goetzmann (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Roger G. Ibbotson
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
Liang Peng
University of Colorado at Boulder ( email )
419 UCB
Boulder, CO 80309-419
United States
303-492-8215 (Phone)
303-492-5962 (Fax)
HOME PAGE: http://leeds-faculty.colorado.edu/pengl/
Feedback to SSRN


Paper statistics
Abstract Views: 28,957
Downloads: 3,796
Download Rank: 1,100
References:  38
Citations:  31

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.501 seconds